12 Days of Trading – Day 11 of 12: Price Movement by Venue and Mechanism

12 Days of Trading – Day 11 of 12: Price Movement by Venue and Mechanism

Day 11 of 12: Price Movement by Venue and Mechanism
Mid-point price movement for all reported trades on selected venues between 2nd & 6th December inclusive for UK Large Cap stocks

The chart today returns to a theme we have covered before but with additional layers uncovered. In the past, we have viewed the movement of the mid point before and after every trade to build up a pattern for each trading mechanism.

We have developed this further so that each venue can be singled out whether lit, dark or periodic auction. We have anonymised the venues and excluded blocks and a generic view of Systematic Internalisers from this example. Subscribers to our Liquidity Cockpit API can see this detail in all its glory.

Using these new metrics and categorisations is creating new thinking in execution analysis. In addition to comparisons with recognised benchmarks, traders can now see how they compare to a typical profile when they or their brokers route to different venues and market mechanisms.

At big-xyt we help you to paint the full picture.

Liquidity Cockpit users are able to look at any stock this way and see the venues broken down. Clients using our Execution Analysis/TCA are able to measure execution performance with the demonstrated precision and flexibility.

We’re delighted to share that big xyt has been shortlisted for, not one, but two industry awards!

We have made the shortlist for ‘Best Trading Analytics Platform’ and ‘Transaction Cost Analysis (TCA) Tool for Best Execution’ at the TradingTech Insight Awards 2020. We’d really appreciate your support in gaining recognition for our work in the industry.  

Please spare a few moments to vote for us here. Thank you in advance.

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On our 12 Days of Trading

As the year draws to a close we have been asked by clients to repeat our festive exercise on the 12 days leading up to the holidays. As a result, you will find a post to a different 2019 big-xyt observation each day.  We look and highlight trends since the introduction of MiFID II with a focus on this year’s changes or events.

We hope you enjoy them.

This content has been created using the Liquidity Cockpit API.

About the Liquidity Cockpit

At big-xyt we take great pride in providing solutions to the complex challenges of data analysis. Navigating in fragmented markets remains a challenge for all participants. We recognise that the investing community needs and expects continued innovation as the volume of data and related complexity continues to increase.

Our Liquidity Cockpit is now recognised as an essential independent tool for exchanges, Sell-side and increasingly Buy-side market participants. Data quality is a key component, as is a robust process for normalisation so that like-for-like comparisons and trends over time have relevance. However, our clients most value a choice of flexible delivery methods which can be via interactive dashboard or direct access to underlying data and analysis through CSV, API or other appropriate mechanism.

For existing clients – Log in to the Liquidity Cockpit.

For everyone else – Please use this link to register your interest in the Liquidity Cockpit.

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